Market model: constant throughput - page 18
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What's the point of this verbal abuse, hrenfx?
Well, if you're so eager to speak out at all costs, I guess that's forgivable.
Once again, the main point, especially for you: the notion of a trend in the context of information about only one pair is absolutely meaningless, because there are no trends on martingales. It becomes valid only after the widening of the view (to both "bouquet" pairs) and its subsequent reduction to the original pair.
The trend is an informational notion, not a geometric one.
And what is the point of this verbiage, hrenfx?
If you want to speak out at any cost, it's excusable.
Once again, the main point, especially for you: the notion of a trend in the context of information about only one pair is absolutely meaningless, because there are no trends on martingales. It only becomes valid after expanding the view (to both "bouquet" pairs) and then reducing it to the original pair.
Trend is informational, not geometric.
1. What is your criterion for classifying individual pair price series as martingale?
2. What is a trend as you understand it?
1. What criteria do you use to classify price series of individual pairs as a martingale?
2. What is a trend as you understand it?
Alexey. I read your post. Thought a lot))). In fact, in terms of "why not" - there is no point in arguing. Disputed long ago (I hope!)). To mystify oneself with addictions where there shouldn't be any, to engage in self-hypnosis - no point. Whether by statistical studies, or by the most whatever personal theoretical conclusions. Whoever wants to, let him go on arguing with Dub))). Martingale - I agree.
But the conclusion, or rather, the path to the light that you see in proud solitude (here), is not clear to me. Something, apparently, I am missing in your reasoning.
Martingale - I agree. I'm a Forex trader, you know that. But I do not see any difference with Forex from the point of view of TA (i.e. not only in Forex, but also in trading on the fx market). TA (i.e. only that which operates with data from the cat. stream; FA, etc., of course, is quite another matter). Same techniques, same indicators, etc.. Same behaviour of the tool. // ha! unpredictable!)))
Of course, you can say that yes, of course, it's the same: all that stuff doesn't work there, and it doesn't want to work here.))) But that's not the point.
Imagine that you're not operating with currencies, but with papers.... Like with the light at the end of a heating main? Or is that one, not applicable to FX?
Fairy tale.
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"It's funny.
Alexei used to say something. But not just anything.
And the words seem to be clear, but there is nothing understandable.
After Alexei's words, there is usually silence for a few hours... Everyone is thinking, digesting, scratching their turnips. Those who lack the itchy thrust ask their neighbouring colleagues to scratch them. And how, because they, the words, apparently, not just randomly, but with meaning."
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That's the end of the tale. Well done to whoever listened.
All the characters are fictional. The accidental coincidence of names and surnames is very accidental indeed. :)
1. What is your criterion for classifying individual pair price series as martingale?
2. What is a trend as you see it?
1. a) Yes, I may have been too categorical. But let's reason, Slava.
Why not accept a weak form of market efficiency? I certainly have no formal proof and can't. And investors tend to accept even an average form of efficiency, i.e. an even more categorical one (hence accepting a weak one as well). However, most locals tend to reject even weak efficiency :)
b) Different forms of efficiency are the same martingales, just on different streams of available information. OK, let it not be a martingale, but almost a martingale. The degree of difference is very small. We are not talking about arbitrage strategies, which are based on multicurrency, which I see as a way out of the martingale trap.
(c) But most importantly, I wanted to make another point (this is also a hypothesis): it is probably possible to build a system of "perfect" martingales, corresponding to a weak form of efficiency for each pair individually, but which still allows one to profit from the information of the whole system. The key feature of this martingale system is a rigid functional relationship between individual martingales (like EURUSD/GBPUSD = EURGBP).
2. Damn, I keep getting confused between trend and momentum. I've already written roughly what I understand by trend. I don't know what a trend is on stocks, indices or futures, but on forex I don't like the classical definition of a trend (through a series of rising lows to rising lows, etc.) at all. This definition does not correspond to the essence of the process, for the process looks too much like a random walk, in which predictable trends (or rather trends, from which one can systematically and long term profit) do not exist in principle.
If we are looking at EURUSD rising sharply upwards, it does not mean that we are in a trend for the pair. It could be a rising euro trend or a falling quid trend. The euro trend here is defined as the euro rising against all currencies (or most of them; this is easily formalised). The quid trend here is the quid falling against most currencies. To formalize the task of determining the trend of a currency, the usual combinatorics is sufficient. The main idea here is the following: the trend of EURUSD is identified only after analysis of behaviour of all euro- and buck-dependent pairs.
P.S. Guys, I will answer everyone, let's not all at once :) The order to increase the level of discussion was not mine...
I can sell my place in line for Alexei's attention. We'll agree on the price. Please write in person.
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What's up? It's good business. And do not look like that! )))
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Alexei! Don't you think you're getting farther and farther away from the main purpose of the trade? Okay. The trend is good. It's good when you can take advantage of it. But don't you think it reminds you of the definition of a trend when you look at the 12-bar MA, the 60-bar, the 200-bar? When they're all down, that's when they're trending. But usually by that time the trend is over! ))) After all, you're not trading this abstract notion - a trend, but a purely concrete pair. And according to you it turns out that the movement of the pair is nothing, and the trend (and what to do with it, if it's already gone?) is nothing.
I may be wrong, but it seems to me that with this approach we will obtain one more analytical tool of a very high quality, working on the left side of the chart. And then you can show the kids: Look, kids, look, there was a trend here. And why, children, do you know? Because it found confirmation on all the related pairs!
And what is the point of this verbiage, hrenfx?
And what do ideal currency indices/clusters even look like?
For example, should the equality Cluster_EUR/ Cluster_USD == EUR/USD be maintained ?
Mathemat:
Why does Semenych add up the individual signs to get the momentum index? How useful is this from a statistical (or, roughly the same thing, information) point of view? Is it possible to come up with a reasonable measure of currency movement that is functionally different from the simple sum of the pair signs?
The simplest modification of CC is weights equal to the hypothetical return of a financial instrument (GDF).
GDF is roughly but easily calculated as follows:
If you want the maximum GDF, N can be taken as the value of the average spread from point 3.
P.S. Commissions are not taken into account when calculating the GDF.